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2012 High Performance Computing 2012 High Performance Computing Speed, Low Latency, and Speed, Low Latency, and Parallel Programming in Financial Services Parallel Programming in Financial Services Thomas Fay, VP – INET Development NASDAQ OMX April 2, 2012

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Page 1: 2012 High Performance Computing Speed, Low Latency, and Parallel Programming in Financial Services 2012 High Performance Computing Speed, Low Latency,

2012 High Performance Computing2012 High Performance ComputingSpeed, Low Latency, and Speed, Low Latency, and

Parallel Programming in Financial ServicesParallel Programming in Financial Services

Thomas Fay, VP – INET Development

NASDAQ OMX

April 2, 2012

Thomas Fay, VP – INET Development

NASDAQ OMX

April 2, 2012

Page 2: 2012 High Performance Computing Speed, Low Latency, and Parallel Programming in Financial Services 2012 High Performance Computing Speed, Low Latency,

© Copyright 2011, The NASDAQ OMX Group, Inc. All rights reserved.

NASDAQ OMX – Get to Know Us

2

• We invented electronic trading 40 years ago and are now the world’s largest exchange company.

• Electronic trading is trusted and emulated by every electronic equities exchange in the world, making the world’s capital markets move faster, more efficiently and more transparently.

We power

1 in 10of the

world’s securities

transactions

NASDAQ OMX trading technology is

used to powermore than 70exchanges

in 50countries

We own and operate

24 markets 3 clearing houses

5 central securities depositories

More than

$350B is tied to

our global indexes

Our global platform can handle

more than 1M messages/second

at sub-70 microsecond

average speeds

NASDAQ OMX lists

3,600global companies

worth $5.4T in market cap

representing diverse industries and many of the world’s most

well-known and innovative brands

Page 3: 2012 High Performance Computing Speed, Low Latency, and Parallel Programming in Financial Services 2012 High Performance Computing Speed, Low Latency,

© Copyright 2011, The NASDAQ OMX Group, Inc. All rights reserved.

Race To Zero

Page 4: 2012 High Performance Computing Speed, Low Latency, and Parallel Programming in Financial Services 2012 High Performance Computing Speed, Low Latency,

© Copyright 2011, The NASDAQ OMX Group, Inc. All rights reserved.

The Latency Challenge

4

NASDAQ MARKET CENTER RECORDS

Peak day Peak second

Message volume 1,684,103,265 Messages 923,247

Order volume 871,875,595 Orders 581,696

Share volume 12,814,454,760 Executions 175,651

NASDAQ PERFORMANCE DEVELOPMENT 2009-2012 (Average latency in microseconds)

Page 5: 2012 High Performance Computing Speed, Low Latency, and Parallel Programming in Financial Services 2012 High Performance Computing Speed, Low Latency,

© Copyright 2011, The NASDAQ OMX Group, Inc. All rights reserved.

10G Co-Lo Order Latency Summary Week of March 19, 2012 (NASDAQ Market Center 09:30 to 16:30)

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Page 6: 2012 High Performance Computing Speed, Low Latency, and Parallel Programming in Financial Services 2012 High Performance Computing Speed, Low Latency,

© Copyright 2011, The NASDAQ OMX Group, Inc. All rights reserved.6

Increasing Performance through Concurrency

Page 7: 2012 High Performance Computing Speed, Low Latency, and Parallel Programming in Financial Services 2012 High Performance Computing Speed, Low Latency,

© Copyright 2011, The NASDAQ OMX Group, Inc. All rights reserved.7

The Effects of Parallel Processing

Page 8: 2012 High Performance Computing Speed, Low Latency, and Parallel Programming in Financial Services 2012 High Performance Computing Speed, Low Latency,

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